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Question: Essentials of Investments.Estimating the Index Model Using Historical Data.Reference:ISBN97812592…

by | Sep 9, 2023 | Aswered Questions



Essentials of Investments.Estimating the Index Model Using
Historical Data.Reference:ISBN9781259255045.page173

(Some data is calculated by me, if there are any mistakes,
please help me to correct it, thank you)

Excess Return
DATE ABC Return Rate XYZ Return Rate Mkt. Index Return Rate ` Risk Free ABC XYZ Market
2009/12/25 23.17 13.22 3141.35 0.000433
2009/12/31 25.52 0.0966 13.82 0.0444 3277.14 0.0423 0.000433 0.0962 0.0440 0.0419
2010/1/8 28.13 0.0974 13.45 -0.0271 3196 -0.0251 0.000435 0.0969 -0.0276 -0.0255
2010/1/15 28.59 0.0162 13.78 0.0242 3224.15 0.0088 0.000441 0.0158 0.0238 0.0083
2010/1/22 27.32 -0.0454 13.53 -0.0183 3128.59 -0.0301 0.000446 -0.0459 -0.0188 -0.0305
2010/1/29 26.05 -0.0476 13.08 -0.0338 2989.29 -0.0455 0.000449 -0.0480 -0.0343 -0.0460
2010/2/5 26.33 0.0107 12.71 -0.0287 2939.4 -0.0168 0.000449 0.0102 -0.0291 -0.0173
2010/2/12 26.56 0.0087 13.01 0.0233 3018.13 0.0264 0.000451 0.0082 0.0229 0.0260
2010/2/26 26.58 0.0008 13 -0.0008 3051.94 0.0111 0.000452 0.0003 -0.0012 0.0107
2010/3/5 27.31 0.0271 12.8 -0.0155 3031.07 -0.0069 0.000452 0.0266 -0.0160 -0.0073
2010/3/12 27.25 -0.0022 12.82 0.0016 3013.41 -0.0058 0.000452 -0.0027 0.0011 -0.0063
2010/3/19 27.71 0.0167 12.86 0.0031 3067.75 0.0179 0.000452 0.0163 0.0027 0.0174
2010/3/26 26.31 -0.0518 12.77 -0.0070 3059.72 -0.0026 0.000452 -0.0523 -0.0075 -0.0031
2010/4/2 26.37 0.0023 12.98 0.0163 3157.96 0.0316 0.000452 0.0018 0.0159 0.0312
2010/4/9 26.16 -0.0080 12.81 -0.0132 3145.35 -0.0040 0.000454 -0.0084 -0.0136 -0.0045
2010/4/16 26.32 0.0061 13.04 0.0178 3130.3 -0.0048 0.000454 0.0056 0.0173 -0.0053
2010/4/23 23.06 -0.1322 12.25 -0.0625 2983.54 -0.0480 0.000455 -0.1327 -0.0630 -0.0485
2010/4/30 20.04 -0.1404 12.1 -0.0123 2870.61 -0.0386 0.000455 -0.1408 -0.0128 -0.0390
2010/5/7 17.83 -0.1168 11.04 -0.0917 2688.38 -0.0656 0.000455 -0.1173 -0.0921 -0.0660
2010/5/14 17.65 -0.0101 11.15 0.0099 2696.63 0.0031 0.000456 -0.0106 0.0095 0.0026
2010/5/21 16.24 -0.0833 10.84 -0.0282 2583.52 -0.0429 0.000455 -0.0837 -0.0287 -0.0433
2010/5/28 16.65 0.0249 10.96 0.0110 2655.77 0.0276 0.000464 0.0245 0.0105 0.0271
2010/6/4 16.28 -0.0225 10.61 -0.0325 2553.59 -0.0392 0.000476 -0.0229 -0.0329 -0.0397
2010/6/11 16.37 0.0055 10.69 0.0075 2569.94 0.0064 0.000481 0.0050 0.0070 0.0059
2010/6/18 15.77 -0.0373 10.58 -0.0103 2513.2 -0.0223 0.000486 -0.0378 -0.0108 -0.0228
2010/6/25 15.91 0.0088 10.71 0.0122 2552.82 0.0156 0.000494 0.0083 0.0117 0.0151
2010/7/2 15.23 -0.0437 10.33 -0.0361 2382.9 -0.0689 0.000502 -0.0442 -0.0366 -0.0694
2010/7/9 15.46 0.0150 10.53 0.0192 2470.92 0.0363 0.000503 0.0145 0.0187 0.0358
2010/7/16 15.03 -0.0282 10.21 -0.0309 2424.27 -0.0191 0.000503 -0.0287 -0.0314 -0.0196
2010/7/23 16.32 0.0823 10.55 0.0328 2572.03 0.0592 0.000503 0.0818 0.0323 0.0587
2010/7/30 17.18 0.0514 10.71 0.0151 2637.5 0.0251 0.000502 0.0509 0.0145 0.0246
2010/8/6 17.21 0.0017 10.67 -0.0037 2658.39 0.0079 0.000503 0.0012 -0.0042 0.0074
2010/8/13 15.92 -0.0779 10.32 -0.0334 2606.7 -0.0196 0.000503 -0.0784 -0.0339 -0.0201
2010/8/20 15.91 -0.0006 10.42 0.0096 2642.31 0.0136 0.000505 -0.0011 0.0091 0.0131
2010/8/27 15.45 -0.0293 10.31 -0.0106 2610.74 -0.0120 0.000506 -0.0298 -0.0111 -0.0125
2010/9/3 15.24 -0.0137 10.24 -0.0068 2655.39 0.0170 0.000508 -0.0142 -0.0073 0.0164
2010/9/10 15.28 0.0026 10.18 -0.0059 2663.21 0.0029 0.000509 0.0021 -0.0064 0.0024
2010/9/17 14.7 -0.0387 9.98 -0.0198 2598.69 -0.0245 0.000511 -0.0392 -0.0204 -0.0250
2010/9/21 14.62 -0.0055 9.99 0.0010 2591.55 -0.0028 0.000512 -0.0060 0.0005 -0.0033
2010/9/30 14.19 -0.0299 10.18 0.0188 2655.66 0.0244 0.000515 -0.0304 0.0183 0.0239
2010/10/8 14.87 0.0468 10.47 0.0281 2738.74 0.0308 0.000515 0.0463 0.0276 0.0303
2010/10/15 17.79 0.1793 11.55 0.0982 2971.16 0.0815 0.000516 0.1788 0.0977 0.0809
2010/10/22 17.59 -0.0113 11.12 -0.0379 2975.04 0.0013 0.000551 -0.0119 -0.0385 0.0008
2010/10/29 17.67 0.0045 11.19 0.0063 2978.84 0.0013 0.000562 0.0040 0.0057 0.0007
2010/11/5 18.67 0.0550 11.99 0.0691 3129.5 0.0493 0.000564 0.0545 0.0685 0.0488
2010/11/12 16.43 -0.1278 12.54 0.0449 2985.44 -0.0471 0.000570 -0.1284 0.0443 -0.0477
2010/11/19 15.6 -0.0518 11.28 -0.1059 2888.57 -0.0330 0.000573 -0.0524 -0.1065 -0.0336
  

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